EUREX will change the tick size on DAX on December, 21

maxinger · Dec 20, 2020

helpme_please said:
Thanks. Advantage of change is more liquidity on bid and offer. Disadvantage is bigger spread.
I think this change seems to favour market makers.

high-frequency traders like tiny tiny tick size.

elderly folks don't like it.
look at jpy futures.
I can't tell the difference between
0.0000937600 and 0.00000937600

not all charting software and trading platform
are elderly folks friendy.
not all of those allow us to make the tick size coarser or
reduce the number of digits.

kaizer · Dec 22, 2020

Me waiting for FESX quotation change, 1 point is too much for tick, 0.25 seems so be optimum balance between liquidity and volatility

maxinger · Dec 22, 2020

kaizer said:
Me waiting for FESX quotation change, 1 point is too much for tick, 0.25 seems so be optimum balance between liquidity and volatility

oh no! That means increasing the number of digits from
4 to 6 !!!

kaizer · Dec 22, 2020

maxinger said:
oh no! That means increasing the number of digits from
4 to 6 !!!

interesting, why not? number of digits does not matter, number of ticks is important. Now its 3500+
for regular volatility for stock index intraday swing of 0.5% is normal, its about 17 ticks
are you comfortable to trade swings of 15-20 ticks wide?

it depends of trading style and at least for trend following its hard to trade.

maxinger · Dec 22, 2020

kaizer said:
interesting, why not? number of digits does not matter, number of ticks is important. Now its 3500+
for regular volatility for stock index intraday swing of 0.5% is normal, its about 17 ticks
are you comfortable to trade swings of 15-20 ticks wide?

it depends of trading style and at least for trend following its hard to trade.

you will know when you are older, and when your eyesight is not that great.

kaizer · Dec 22, 2020

maxinger said:
you will know when you are older, and when your eyesight is not that great.

i'm almost retired, now my daughter takes care on trading step-by-step

however, my question is not retorical. i've read your posts on ET and respect you much as seasoned trader and it's really interesting to know your viewpoint

tomas262 · Dec 29, 2020

0.5 tick size worked great for a long time ... so let's change it

I see that all the time around me

Millionaire · Dec 29, 2020

tomas262 said:
0.5 tick size worked great for a long time ... so let's change it I see that all the time around me

It worked great for us, but i guess no longer worked great for the market maker(s).

They must of put pressure on Eurex to change it.

PytagorasOfSamos · Jan 14, 2021

Millionaire said:
It worked great for us, but i guess no longer worked great for the market maker(s).

They must of put pressure on Eurex to change it.

lots of debate on which participants the Dax change is good or bad for, obviously there are winners and losers. One thing for certain is it’s really hurt volumes, I struggled to get size done over Christmas. Looks about 20% down versus FESX in my calculations. Not good.

Millionaire · Jan 14, 2021

PytagorasOfSamos said:
lots of debate on which participants the Dax change is good or bad for, obviously there are winners and losers. One thing for certain is it’s really hurt volumes, I struggled to get size done over Christmas. Looks about 20% down versus FESX in my calculations. Not good.

Yeah they (EUREX) seem to have screwed up, like the exchanges always do when they make these kind of changes.

So far the DAX futures have been weakened by this change that is for sure. Wider spread, lower depth, lower volumes. Goes against the principle that markets should be made stronger and deeper and more orderly.

Under extreme events (eg sudden ECB news) its not going to look pretty, will be less orderly than it otherwise would be and it was volatile enough before this change.

But still early days, maybe volume and depth will increase when more traders figure out how to make money off the wider spread.

It may be that some of the market making stratagies that were being applied when the spread was 0.5, actually will still work, but were switched off out of caution, might just need to be tweaked and then turned back on.